摘要
随着倒向随机微分方程理论的不断发展和完善,其在数理金融中的应用越来越广泛,随机控制也逐渐成为研究投资组合风险管理问题的重要方法.本文侧重于展示基于不完备信息的随机控制方法在研究期权定价、均值-方差、期望效用最大化这三类投资组合问题中的简单应用.
The backward stochastic differential equation theory has been developed and improved in recent years, and then it is widely used in mathematical finance. Meanwhile, the stochastic control has become an important method to study the portfolio risk management problem. In this paper, we focus on how to study option pricing, mean-variance and expected utility maximization problems by using the stochastic control method with incomplete information.
出处
《南京信息工程大学学报（自然科学版）》
CAS
2017年第3期305-313,共9页
Journal of Nanjing University of Information Science & Technology（Natural Science Edition）
基金
国家自然科学优秀青年基金(61422305)
山东省杰出青年基金(JQ201418)
关键词
不完备信息
倒向随机微分方程
随机控制
期权定价
均值-方差
效用函数
incomplete information
backward stochastic differential equations
stochastic control
option pricing
mean-variance
utility function
